Eigen how to concatenate matrix along a specific dimension?

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You can use the comma initializer syntax for that.

Horizontally:

MatrixXd C(A.rows(), A.cols()+B.cols());
C << A, B;

Vertically:

// eigen uses provided dimensions in declaration to determine
// concatenation direction
MatrixXd D(A.rows()+B.rows(), A.cols()); // <-- D(A.rows() + B.rows(), ...)
D << A, B; // <-- syntax is the same for vertical and horizontal concatenation

For readability, one might format vertical concatenations with whitespace: 

D << A,
     B; // <-- But this is for readability only.

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